public void DoIt()
{
string strErrorMsg;
WindAPI w = new WindAPI();
//登录WFT
int nRetCode = w.start();
if (0 != nRetCode)//登录失败
{
strErrorMsg = w.getErrorMsg(nRetCode);
Console.Write(strErrorMsg);
return;
}
//登录账号
Console.Write("\r\ntlogon……");
WindData wd = w.tlogon("0000", "0", "w081496501", "******", "SHSZ");
string strLogonId = wd.GetLogonId();
wd = w.tquery("Trade");
return;
//下单浦发银行
wd = w.torder("600000.SH", "Buy", "12.0", "200", "OrderType=LMT;LogonID=" + strLogonId);//单账户登录可以不指定LogonId=1
//获取下单ID
string strRequestID1 = wd.GetOrderRequestID();
Console.WriteLine("RequestID=" + strRequestID1);
//下单白云机场
wd = w.torder("600004.SH", "Buy", "12.00", "300", "OrderType=LMT;LogonID=" + strLogonId);//单账户登录可以不指定LogonId=1
//获取下单ID
string strRequestID2 = wd.GetOrderRequestID();
//查询
Console.WriteLine("query……");
wd = w.tquery("Order", "RequestID=" + strRequestID1);
//获取浦发银行OrderNumber
string strOrderNumber = wd.GetOrderNumber();
//浦发银行撤单
Console.WriteLine("cancel……");
wd = w.tcancel(strOrderNumber);
//再次查询
Console.WriteLine("query after cancel……");
wd = w.tquery("Order");
string strQueryInfoAfter = WindDataMethod.WindDataToString(wd, "tquery");
Console.Write(strQueryInfoAfter);
//登出
Console.WriteLine("tlogout……");
w.tlogout();
//退出WindAPI
w.stop();
}
/// <summary>
/// 从万德数据库中读取交易日信息数据。
/// </summary>
private void GetDataFromWindDataBase()
{
int theLastDay = 0;
if (tradeDaysOfDataBase.Count > 0)
{
theLastDay = tradeDaysOfDataBase[tradeDaysOfDataBase.Count - 1];
}
//万德API接口的类。
WindAPI w = new WindAPI();
w.start();
//从万德数据库中抓取交易日信息。
WindData days = w.tdays("20100101", "20161231", "");
//将万德中读取的数据转化成object数组的形式。
object[] dayData = days.data as object[];
foreach (object item in dayData)
{
DateTime today = (DateTime)item;
int now = DateTimeToInt(today);
if (now > theLastDay)
{
tradeDaysOfDataBase.Add(now);
}
}
w.stop();
}
/// <summary>
/// 获取股票列表的信息。
/// </summary>
/// <param name="market">市场</param>
/// <returns>商品期货信息列表</returns>
public List <stockFormat> GetStockList(string indexName)
{
List <stockFormat> myList = new List <stockFormat>();
//按日期遍历，添加股票信息。
WindAPI w = new WindAPI();
w.start();
string[] dateStr = { "2013-06-01", "2013-12-01", "2014-06-01", "2014-12-01", "2015-06-01", "2015-12-01", "2016-06-01", "2016-06-20" };
foreach (var item in dateStr)
{
WindData wd = w.wset("sectorconstituent", "date=" + item + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
stockFormat myStock = new stockFormat();
myStock.market = "SH";
myStock.code = Convert.ToString(stockList[i * 3 + 1]).Substring(0, 6);
myStock.name = (string)stockList[i * 3 + 2];
if (myList.Contains(myStock) == false)
{
myList.Add(myStock);
}
}
}
w.stop();
return(myList);
}
//停止
private void stop()
{
if (null != m_w)
{
m_w.stop();
}
}
//停止
public static void Logout()
{
if (null != windHandle)
{
windHandle.stop();
}
}
private void Excute_Click(object sender, EventArgs e)
{
InitializeChart();
this.myChart.Series.Clear();
string strStartDate = this.startDateTimePicker.Text;
string strEndDate = this.endDateTimePicker.Text;
WindAPI w = new WindAPI();
w.start();
WindData wd = null;
if (this.radioButton_KQ.Checked)
{
wd = w.edb("M5407921", strStartDate, strEndDate, "");
}
else
{
wd = w.edb("M0000272", strStartDate, strEndDate, "");
}
w.stop();
UpdateChart(wd);
}
public void Execute()
{
//从万得提取数据
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wsi("510050.SH", "open,high,low,close,volume"
, "2016-07-01 09:00:00", "2016-07-22 15:00:00", "Fill=Previous");
w.stop();
//初始化各类变量
DateTime[] DataDate = wd.timeList;
String.Format("yyyy/MM/dd hh:mm:ss", DataDate);
//日期、开盘价、最高价、最低价、收盘价、成交量
int FieldLength = wd.GetFieldLength();
int DataLength = wd.GetDataLength();
int DateLength = DataLength / FieldLength;
int sign = 0;//下标计数
double[] RawData = (double[])wd.data;
double[,] MarketData = new double[DateLength, 5];
/*
* double[] OP = new double[DateLength];
* double[] HP = new double[DateLength];
* double[] LP = new double[DateLength];
* double[] CP = new double[DateLength];
*/
for (int i = 0; i < RawData.Length; i = i + FieldLength)
{
for (int j = 0; j < FieldLength; j++)
{
MarketData[sign, j] = RawData[i + j];
}
sign++;
}
// System.Console.WriteLine("{0},{1},{2},{3}", sign, MarketData.GetLength(0), MarketData.GetLength(1), DateLength);
/*
* for (int now = 0; now <= sign; now++)
* {
* if (now != 0 && now % 60 == 0)//60min做一次停顿
* Console.ReadKey();
* System.Console.WriteLine("Time:{0} -- O:{1} H:{2} L:{3} C:{4} Volum:{5}\n"
* , DataDate[now], MarketData[now,0], MarketData[now,1]
* , MarketData[now,2], MarketData[now,3], MarketData[now,4]);
* }
* Console.ReadKey();
*/
GenSignal myGS = new GenSignal();
myGS.getSignal(MarketData);
}
/// <summary>
/// 整个应用的终止
/// </summary>
public static void ShutDown()
{
if (_windAPI != null)
{
log.Debug("正在关闭Wind API...");
if (_windAPI.isconnected())
{
_windAPI.stop();
}
}
log.Info("------ Platform已关闭. ------");
}
//关闭API
public static void stopAPI()
{
if (api != null && api.isconnected())
{
try
{
api.stop();
}
catch (Exception e)
{
Console.WriteLine(e);
}
}
}
static void DoAPISameple()
{
WindAPI w = new WindAPI();
w.start();
//wset取沪深300指数成分
//WindData wd = w.wset("IndexConstituent", "date=20141215;windcode=000300.SH");
//OutputWindData(wd, "wset");
WindData wd = w.wsd("I2009.DCE", "open", "2020-05-24", "2020-05-24", "");
OutputWindData(wd, "wsd");
w.stop();
}
/// <summary>
/// 按日期遍历，添加期权信息。写入静态哈希表myOptionList。
/// </summary>
/// <param name="startDate">开始日期</param>
/// <param name="endDate">结束日期</param>
private void GetOptionInformationList(int startDate, int endDate)
{
//定义交易日期的类。
TradeDays myTradeDays = new TradeDays(startDate, endDate);
//从数据库表中获取信息，如果已经是完整信息就不需要连接万德数据库。
if (GetOptionListFromTable(startDate, endDate) == true)
{
return;
}
//按日期遍历，添加期权信息。
WindAPI w = new WindAPI();
w.start();
foreach (int today in myTradeDays.myTradeDays)
{
if (TradeDays.IsOptionExerciseDate(today) || today == myTradeDays.myTradeDays[myTradeDays.myTradeDays.Count - 1])
{
WindData optionToday = w.wset("OptionChain", "date=" + today.ToString() + ";us_code=" + Configuration.underlyingAsset + ";option_var=;month=全部;call_put=全部");
object[] optionList = optionToday.data as object[];
int num = optionList.Length / 13;
for (int i = 0; i < num; i++)
{
optionFormat option = new optionFormat();
string codeString = (string)optionList[i * 13 + 4 - 1];
option.optionCode = Convert.ToInt32(codeString.Substring(0, 8));
option.market = codeString.Substring(9, 2);
option.optionName = (string)optionList[i * 13 + 5 - 1];
option.executeType = (string)optionList[i * 13 + 6 - 1];
option.strike = (double)optionList[i * 13 + 7 - 1];
option.optionType = (string)optionList[i * 13 + 9 - 1];
option.startDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 10 - 1]);
option.endDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 11 - 1]);
if (myOptionList.ContainsKey(option.optionCode) == false)
{
myOptionList.Add(option.optionCode, option);
}
}
}
}
w.stop();
}
/// <summary>
/// 处理
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void btnDeal_Click(object sender, EventArgs e)
{
//接口初始化
WindAPI w = new WindAPI();
//在接口操作前，用户首先要登录并启动C#插件，即使用w.start()命令。其中，返回值0表示登陆成功，负数表示登陆失败，可通过w.getErrorMsg()函数获取错误信息。
w.start();
//当需要判断是否连接c#接口时，可以使用w.isconnected()命令。返回值True表示处于连接状态，反之False表示连接断开。
if (w.isconnected())
{
WindData wd = w.wss("000001.SZ,000002.SZ", "open,low,close,volume", "tradeDate=20180809;priceAdj=U;cycle=D");
//返回的数据转化为便于使用的数据结构,
object[,] getData = (object[, ])wd.getDataByFunc("wss", false);
MessageBox.Show("连接成功");
}
//当需要停止使用C#接口时，可以使用w.stop()命令，由于程序退出时会自动执行w.stop()命令，用户一般并不需要执行。
w.stop();
}
public void DoIt()
{
WindAPI w = new WindAPI();
w.start();
//取昨天的最高、最低、收盘
double dLastHigh = 0; double dLastLow = 0; double dLastClose = 0;
WindData wd = w.wss("600999.SH", "high,low,close", "tradeDate=20141202;priceAdj=U;cycle=D");
//WindData wd = w.wss("601000.SH", "high,low,close", "tradeDate=20141202;priceAdj=U;cycle=D");
//WindData wd = w.wss("M1309.DCE", "high,low,close", "tradeDate=20130411;priceAdj=U;cycle=D");
double[,] lastPriceData = (double[, ])wd.getDataByFunc("wss", true);
if (null == lastPriceData)
{
return;
}
dLastHigh = lastPriceData[0, 0];
dLastLow = lastPriceData[0, 1];
dLastClose = lastPriceData[0, 2];
//计算出6个价位
double dSsetup = dLastHigh + 0.35 * (dLastClose - dLastLow); //观察卖出价
double dSenter = (1.07 / 2) * (dLastHigh + dLastLow) - 0.07 * dLastLow; //反转卖出价
double dBenter = (1.07 / 2) * (dLastHigh + dLastLow) - 0.07 * dLastHigh; //反转买入价
double dBsetup = dLastLow - 0.35 * (dLastHigh - dLastClose); //观察买入价
double dBbreak = dSsetup + 0.25 * (dSenter - dBsetup); //突破买入价
double dSbreak = dBsetup - 0.205 * (dSenter - dBsetup); //突破卖出价
//某天的交易数据
WindData wdWSI = w.wsi("600999.SH", "high,low,close", "2014-12-03 09:30:00", "2014-12-03 15:00:00", "");
//WindData wdWSI = w.wsi("601000.SH", "high,low,close", "2014-12-03 09:30:00", "2014-12-03 15:00:00", "");
//WindData wdWSI = w.wsi("M1309.DCE", "high,low,close", "2013-04-12 09:30:00", "2013-04-12 15:00:00", "");
double[,] curPriceData = (double[, ])wdWSI.getDataByFunc("wsi", true);
if (null == curPriceData)
{
return;
}
int nTimeCount = curPriceData.GetLength(0);
if (nTimeCount < 0)
{
return;
}
int nPriceDim = curPriceData.GetLength(1);
if (nPriceDim < 3)
{
return;
}
//策略初值，1表示做多，-1表示做空，0表示无操作
List <int> curHoldList = new List <int>(nTimeCount);
for (int i = 0; i < nTimeCount; i++)
{
curHoldList.Add(0);
}
double dCurHigh = curPriceData[0, 0];
double dCurLow = curPriceData[0, 1];
double dCurPrice = curPriceData[0, 2];
for (int i = 0; i < nTimeCount; i++)
{
dCurHigh = (curPriceData[i, 0] > dCurHigh) ? curPriceData[i, 0] : dCurHigh;
dCurLow = (curPriceData[i, 1] > dCurLow) ? curPriceData[i, 1] : dCurLow;
dCurPrice = curPriceData[i, 2];
//当前持仓
int nCurHold = curHoldList.Sum();
bool bCon1 = (dCurPrice > dBbreak) && (0 == nCurHold); //空仓做多条件
bool bCon2 = (dCurPrice < dSbreak) && (0 == nCurHold); //空仓做空条件
bool bCon3 = (nCurHold > 0) && (dCurHigh > dSsetup) && (dCurPrice < dSenter); //多单反转卖出条件:holding>0 and 今高>观察卖出价 and c<反转卖出价;
bool bCon4 = (nCurHold < 0) && (dCurLow < dBsetup) && (dCurPrice > dBenter); //空单反转买入条件:=holding<0 and 今低<观察买入价 and c>反转买入价;
//交易
if (bCon3) //多单反转
{
curHoldList[i] = -1; //平多 //sell
}
else if (bCon2) //空单做空
{
curHoldList[i] = -1; //sell
}
else if (bCon4) //空单反转
{
curHoldList[i] = 1; //buy
}
else if (bCon1) //空仓做多
{
curHoldList[i] = 1; //buy
}
else
{
curHoldList[i] = 0;
}
}
int nCurHole = curHoldList.Sum();
//尾盘轧平
if (1 == nCurHole && 1 == curHoldList.Last())
{
curHoldList[nTimeCount - 1] = 0;
}
else if (1 == nCurHole)
{
curHoldList[nTimeCount - 1] = -1;
}
else if (-1 == nCurHole && -1 == curHoldList.Last())
{
curHoldList[nTimeCount - 1] = 0;
}
else if (-1 == nCurHole)
{
curHoldList[nTimeCount - 1] = 1;
}
//统计收益
double dProfit = 0;
for (int i = 0; i < nTimeCount; i++)
{
dProfit += curPriceData[i, 2] * curHoldList[i];
}
Console.WriteLine("策略收益:" + dProfit);
w.stop();
}
